{"title":"反映Wasserstein空间中图像依赖的SDEs和大偏差原理","authors":"X. Yang","doi":"10.1080/17442508.2023.2199125","DOIUrl":null,"url":null,"abstract":"In this article, we study a class of reflecting stochastic differential equations whose coefficients depend on image measures of solutions under a given initial measure in Wasserstein space . By the penalization method, the image process, which is a diffusion process in , is constrained in a priori given domain . The large deviation principle for this reflecting image process is also established by weak convergence method.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"13 1","pages":""},"PeriodicalIF":1.1000,"publicationDate":"2023-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Reflecting image-dependent SDEs in Wasserstein space and large deviation principle\",\"authors\":\"X. Yang\",\"doi\":\"10.1080/17442508.2023.2199125\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this article, we study a class of reflecting stochastic differential equations whose coefficients depend on image measures of solutions under a given initial measure in Wasserstein space . By the penalization method, the image process, which is a diffusion process in , is constrained in a priori given domain . The large deviation principle for this reflecting image process is also established by weak convergence method.\",\"PeriodicalId\":50447,\"journal\":{\"name\":\"Finance and Stochastics\",\"volume\":\"13 1\",\"pages\":\"\"},\"PeriodicalIF\":1.1000,\"publicationDate\":\"2023-04-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Finance and Stochastics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/17442508.2023.2199125\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance and Stochastics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/17442508.2023.2199125","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Reflecting image-dependent SDEs in Wasserstein space and large deviation principle
In this article, we study a class of reflecting stochastic differential equations whose coefficients depend on image measures of solutions under a given initial measure in Wasserstein space . By the penalization method, the image process, which is a diffusion process in , is constrained in a priori given domain . The large deviation principle for this reflecting image process is also established by weak convergence method.
期刊介绍:
The purpose of Finance and Stochastics is to provide a high standard publication forum for research
- in all areas of finance based on stochastic methods
- on specific topics in mathematics (in particular probability theory, statistics and stochastic analysis) motivated by the analysis of problems in finance.
Finance and Stochastics encompasses - but is not limited to - the following fields:
- theory and analysis of financial markets
- continuous time finance
- derivatives research
- insurance in relation to finance
- portfolio selection
- credit and market risks
- term structure models
- statistical and empirical financial studies based on advanced stochastic methods
- numerical and stochastic solution techniques for problems in finance
- intertemporal economics, uncertainty and information in relation to finance.